I've thought about this too, and my guess is that some guys simply don't want to go through the hassle of undressing and redressing, especially if they haven't brought a change of clothes, don't have time to shower at the gym, etc. At least at my gym, I personally have never seen anyone use the sauna in clothes and then go take a shower. The people who do this are usually in and out quite quickly. Are the guys at your gym staying in for long periods or doing repeated sauna sessions?
Before I start my workout, I will stretch in the sauna - usually 5-7 minutes - in all my gear (sans shoes), but always do so standing up. After my workout, I go completely nude. My gym is at a university, so on occasion you will see the sports players come in wearing layers upon layers of clothing, presumably under the assumption that they'll "sweat off" more weight.
Before I start my workout, I will stretch in the sauna - usually 5-7 minutes - in all my gear (sans shoes), but always do so standing up. After my workout, I go completely nude. My gym is at a university, so on occasion you will see the sports players come in wearing layers upon layers of clothing, presumably under the assumption that they'll "sweat off" more weight.